Correlation Between Sp Midcap and Aqr Small
Can any of the company-specific risk be diversified away by investing in both Sp Midcap and Aqr Small at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Sp Midcap and Aqr Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sp Midcap Index and Aqr Small Cap, you can compare the effects of market volatilities on Sp Midcap and Aqr Small and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Sp Midcap with a short position of Aqr Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sp Midcap and Aqr Small.
Diversification Opportunities for Sp Midcap and Aqr Small
Very weak diversification
The 3 months correlation between SPMIX and Aqr is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding Sp Midcap Index and Aqr Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Small Cap and Sp Midcap is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Sp Midcap Index are associated (or correlated) with Aqr Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Small Cap has no effect on the direction of Sp Midcap i.e., Sp Midcap and Aqr Small go up and down completely randomly.
Pair Corralation between Sp Midcap and Aqr Small
Assuming the 90 days horizon Sp Midcap Index is expected to under-perform the Aqr Small. In addition to that, Sp Midcap is 2.02 times more volatile than Aqr Small Cap. It trades about -0.19 of its total potential returns per unit of risk. Aqr Small Cap is currently generating about -0.04 per unit of volatility. If you would invest 2,067 in Aqr Small Cap on September 13, 2024 and sell it today you would lose (19.00) from holding Aqr Small Cap or give up 0.92% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sp Midcap Index vs. Aqr Small Cap
Performance |
| Timeline |
| Sp Midcap Index |
| Aqr Small Cap |
Sp Midcap and Aqr Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sp Midcap and Aqr Small
The main advantage of trading using opposite Sp Midcap and Aqr Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sp Midcap position performs unexpectedly, Aqr Small can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Aqr Small will offset losses from the drop in Aqr Small's long position.| Sp Midcap vs. Cutler Equity | Sp Midcap vs. Us Strategic Equity | Sp Midcap vs. Ab Select Equity | Sp Midcap vs. Gmo Global Equity |
| Aqr Small vs. Eagle Mlp Strategy | Aqr Small vs. Origin Emerging Markets | Aqr Small vs. Pnc Emerging Markets | Aqr Small vs. Mid Cap 15x Strategy |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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